Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.4594
Annualized Std Dev 0.7225
Annualized Sharpe (Rf=0%) -0.6358

Row

Daily Return Statistics

Close
Observations 3083.0000
NAs 1.0000
Minimum -0.2667
Quartile 1 -0.0258
Median -0.0030
Arithmetic Mean -0.0014
Geometric Mean -0.0024
Quartile 3 0.0222
Maximum 0.3507
SE Mean 0.0008
LCL Mean (0.95) -0.0030
UCL Mean (0.95) 0.0002
Variance 0.0021
Stdev 0.0455
Skewness 0.2735
Kurtosis 5.2252

Downside Risk

Close
Semi Deviation 0.0314
Gain Deviation 0.0337
Loss Deviation 0.0306
Downside Deviation (MAR=210%) 0.0368
Downside Deviation (Rf=0%) 0.0321
Downside Deviation (0%) 0.0321
Maximum Drawdown 0.9997
Historical VaR (95%) -0.0674
Historical ES (95%) -0.1030
Modified VaR (95%) -0.0679
Modified ES (95%) -0.0880
From Trough To Depth Length To Trough Recovery
2009-03-03 2021-02-16 NA -0.9997 3035 3011 NA
2009-01-21 2009-02-06 2009-03-02 -0.4131 28 13 15
2008-12-24 2009-01-06 2009-01-14 -0.3324 14 8 6
2009-01-15 2009-01-16 2009-01-20 -0.0731 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA NA -4.3 -4.3
2009 3.2 4.1 -10.4 -5.1 -12.5 -4.3 -1.7 5.7 7 13.3 -8.1 -1 -12.3
2010 -8.4 -5.2 -7.8 3.8 5.8 -2.2 -1.4 -10.4 -4.6 -3.4 -8.6 -2.3 -37.5
2011 -7.3 3.3 -4.6 -2.3 5.2 -3.9 0.4 1.5 14 7.1 0.6 -0.4 12.4
2012 -6.7 -2.7 -2.2 -2.1 7.7 -13.3 -0.5 -2.8 -3.2 -5.3 0.4 -4.6 -31.1
2013 -2.1 -1.4 2.9 3.2 5.5 -1.1 -5.4 -2.5 -5.9 -0.2 -3.2 -2.6 -12.7
2014 -0.4 1.9 -3.3 -0.7 3.9 -2.9 -1.7 0.6 6 -1.2 5.2 -0.2 6.8
2015 7.8 0.3 -3.9 -1.9 0.8 -0.2 -3.3 12 -1.4 -0.4 -2.5 1 7.4
2016 2.5 -10.8 0.6 1.1 0.1 -2.6 0.6 -2 -1.6 2.7 3.2 1.9 -5.1
2017 -0.3 -4.3 2.3 -1.3 -2.7 -1.6 -1.1 -2.1 -3.4 -1.7 1.7 -1.3 -14.9
2018 3.8 0.7 -6 1.5 -3.8 -4.7 2.4 -1.7 0.1 -10.7 0.5 1.1 -16.3
2019 2.4 0 -4.9 2.1 -1.1 -3.8 5.9 -2.1 1.9 -4.5 4.4 -0.5 -0.8
2020 5.9 0.8 12.4 10.7 -7 -3.5 1.9 -5.2 -3 3.2 -3 0.2 12.4
2021 -8.3 -8.1 -3 NA NA NA NA NA NA NA NA NA -18.2

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart